create a website

Disaster Risk and Preference Shifts in a New Keynesian Model.. (2016). Szczerbowicz, Urszula ; Isoré, Marlène.
In: Working papers.
RePEc:bfr:banfra:614.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 58

References cited by this document

Cocites: 26

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. [1] Rui Albuquerque, Martin Eichenbaum, Dimitris Papanikolaou, and Sergio Rebelo. Long-run bulls and bears. Journal of Monetary Economics, 76, Supplement:S21 – S36, 2015.

  2. [10] Robert J. Barro and Jose F. Ursúa. Consumption disasters in the twentieth century. The American Economic Review, pages 58–63, 2008.

  3. [12] Tamim A Bayoumi. Financial Deregulation and Consumption in the United Kingdom. The Review of Economics and Statistics, 75(3):536– 39, August 1993.

  4. [13] Jason Beeler and John Y. Campbell. The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment. Critical Finance Review, 1(1):141–182, January 2012.

  5. [14] Henk Berkman, Ben Jacobsen, and John B. Lee. Time-varying rare disaster risk and stock returns. Journal of Financial Economics, 101(2):313–332, August 2011.

  6. [15] Nicholas Bloom. The Impact of Uncertainty Shocks. Econometrica, 77(3):623–685, 05 2009.

  7. [16] Richard Blundell, Martin Browning, and Costas Meghir. Consumer Demand and the Life-Cycle Allocation of Household Expenditures. Review of Economic Studies, 61(1):57–80, January 1994.

  8. [17] Maren Brede. Disaster Risk in a New Keynesian Model. SFB 649 Discussion Papers SFB649DP2013-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, April 2013.

  9. [18] Dario Caldara, Jesus Fernández-Villaverde, Juan Rubio-Ramírez, and Wen Yao. Computing DSGE Models with Recursive Preferences and Stochastic Volatility. Review of Economic Dynamics, 15(2):188–206, April 2012.

  10. [19] John Y Campbell. Bond and Stock Returns in a Simple Exchange Model. The Quarterly Journal of Economics, 101(4):785–803, November 1986.

  11. [2] Martin Andreasen. On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models. Review of Economic Dynamics, 15(3):295–316, July 2012.

  12. [20] John Y. Campbell and John Ammer. What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns. The Journal of Finance, 48(1):3–37, 1993.

  13. [21] John Y. Campbell and N. Gregory Mankiw. Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence. In NBER Macroeconomics Annual 1989, Volume 4, NBER Chapters, pages 185– 246. National Bureau of Economic Research, Inc, May 1989.

  14. [22] Lawrence Christiano, Martin Eichenbaum, and Sergio Rebelo. When Is the Government Spending Multiplier Large? Journal of Political Economy, 119(1):78 – 121, 2011.

  15. [23] John H Cochrane. Presidential address: Discount rates. The Journal of Finance, 66(4):1047–1108, 2011.

  16. [24] Gauti B. Eggertsson, Andrea Ferrero, and Andrea Raffo. Can structural reforms help europe? Journal of Monetary Economics, 61:2–22, 2014.

  17. [25] Gauti B. Eggertsson and Michael Woodford. The Zero Bound on Interest Rates and Optimal Monetary Policy. Brookings Papers on Economic Activity, 34(1):139–235, 2003.

  18. [26] Christopher J. Erceg and Jesper Linde. Fiscal Consolidation in an Open Economy. American Economic Review, 102(3):186–91, May 2012.

  19. [28] Jonas D.M. Fisher. On the Structural Interpretation of the SmetsWouters “Risk Premium” Shock. Journal of Money, Credit and Banking, 47(2-3):511–516, 03 2015.
    Paper not yet in RePEc: Add citation now
  20. [29] Xavier Gabaix. Variable Rare Disasters: A Tractable Theory of Ten Puzzles in Macro-finance. American Economic Review, 98(2):64–67, 2008.

  21. [3] Orazio P. Attanasio and Martin Browning. Consumption over the Life Cycle and over the Business Cycle. American Economic Review, 85(5):1118–37, December 1995.

  22. [30] Xavier Gabaix. Disasterization: A Simple Way to Fix the Asset Pricing Properties of Macroeconomic Models. American Economic Review, 101(3):406–09, May 2011.

  23. [31] Xavier Gabaix. Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance. The Quarterly Journal of Economics, 127(2):645–700, 2012.

  24. [32] Mark Gertler and Nobuhiro Kiyotaki. Financial Intermediation and Credit Policy in Business Cycle Analysis. In Handbook of Monetary Economics, volume 3 of Handbook of Monetary Economics, chapter 11, pages 547–599. Elsevier, 2010.

  25. [33] François Gourio. Disaster Risk and Business Cycles. American Economic Review, 102(6):2734–66, October 2012.

  26. [34] François Gourio. Credit Risk and Disaster Risk. American Economic Journal: Macroeconomics, 5(3):1–34, July 2013.

  27. [35] Robert E Hall. Intertemporal Substitution in Consumption. Journal of Political Economy, 96(2):339–57, April 1988.

  28. [36] Tomas Havránek, Roman Horvath, Zuzana Irsova, and Marek Rusnak. Cross-country heterogeneity in intertemporal substitution. Journal of International Economics, 96(1):100–118, 2015.

  29. [37] Abigail Hughes and Jumana Saleheen. UK labour productivity since the onset of the crisis ? an international and historical perspective. Bank of England Quarterly Bulletin, 52(2):138–146, 2012.

  30. [38] Alfonso Irarrazabal and Juan Carlos Parra-Alvarez. Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis. CREATES Research Papers 2015-08, School of Economics and Management, University of Aarhus, February 2015.

  31. [39] Peter N. Ireland. Technology shocks in the new keynesian model. Review of Economics and Statistics, 86(4):923–936, 2004.

  32. [40] Marlène Isoré and Urszula Szczerbowicz. Disaster Risk in a New Keynesian Model. Working Papers 2013-12, CEPII research center, April 2013.

  33. [41] Sylvain Leduc and Zheng Liu. Uncertainty Shocks are Aggregate Demand Shocks. Journal of Monetary Economics, 82:20–35, September 2016.

  34. [42] Hayne E. Leland. Saving and Uncertainty: The Precautionary Demand for Saving. The Quarterly Journal of Economics, 82(3):465–473, August 1968.

  35. [43] Sydney Ludvigson. Consumption And Credit: A Model Of TimeVarying Liquidity Constraints. The Review of Economics and Statistics, 81(3):434–447, August 1999.

  36. [44] Gregory N. Mankiw and Stephen P. Zeldes. The Consumption of Stockholders and Nonstockholders. Journal of Financial Economics, 29(1):97–112, 1991.

  37. [45] Roberto Marfè and Julien Penasse. The time-varying risk of macroeconomic disasters. Technical report, SSRN Working paper, available at http://ssrn.com/abstract=2773874, 2016.

  38. [46] Rajnish Mehra and Edward C. Prescott. The equity premium: A puzzle. Journal of monetary Economics, 15(2):145–161, 1985.

  39. [47] Stephen Millard and Anamaria Nicolae. The effect of the financial crisis on TFP growth: a general equilibrium approach. Bank of England working papers 502, Bank of England, June 2014.

  40. [48] Emi Nakamura, Jón Steinsson, Robert J. Barro, and José Ursúa. Crises and Recoveries in an Empirical Model of Consumption Disasters. American Economic Journal: Macroeconomics, 5(3):35–74, July 2013.

  41. [49] Thomas A. Rietz. The equity risk premium: a solution. Journal of Monetary Economics, 22(1):117–131, July 1988.

  42. [5] Ravi Bansal, Dana Kiku, and Amir Yaron. An Empirical Evaluation of the Long-Run Risks Model for Asset Prices. Critical Finance Review, 1(1):183–221, January 2012.

  43. [50] Glenn D. Rudebusch and Eric T. Swanson. The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks. American Economic Journal: Macroeconomics, 4(1):105–43, January 2012.

  44. [51] Agnar Sandmo. The Effect of Uncertainty on Saving Decisions. Review of Economic Studies, 37(3):353–60, July 1970.

  45. [53] Emil N. Siriwardane. The probability of rare disasters: Estimation and implications. Technical report, Harvard Business School Working Paper, 2016.
    Paper not yet in RePEc: Add citation now
  46. [54] Frank Smets and Rafael Wouters. An Estimated Dynamic Stochastic General Equilibrium Model of the EURO Area. Journal of the European Economic Association, 1(5):1123–1175, 09 2003.

  47. [55] Frank Smets and Rafael Wouters. Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach. American Economic Review, 97(3):586–606, 2007.

  48. [56] Thomas D. Tallarini Jr. Risk-sensitive real business cycles. Journal of Monetary Economics, 45(3):507–532, June 2000.

  49. [58] Annette Vissing-Jorgensen. Limited Asset Market Participation and the Elasticity of Intertemporal Substitution. Journal of Political Economy, 110(4):825–853, August 2002.

  50. [59] Jessica A. Wachter. Can time-varying risk of rare disasters explain aggregate stock market volatility? The Journal of Finance, 68(3):987– 1035, 2013.

  51. [6] Ravi Bansal and Amir Yaron. Risks for the long run: A potential resolution of asset pricing puzzles. The Journal of Finance, 59(4):1481– 1509, 2004.

  52. [60] Philippe Weil. The equity premium puzzle and the risk-free rate puzzle. Journal of Monetary Economics, 24(3):401–421, November 1989.

  53. [61] Philippe Weil. Nonexpected utility in macroeconomics. Quarterly Journal of Economics, 105(1):29–42, February 1990.

  54. [62] Wei Yang. Intertemporal Substitution and Equity Premium. Review of Finance, 20(1):403–445, 2016.

  55. [63] Motohiro Yogo. Estimating the elasticity of intertemporal substitution when instruments are weak. Review of Economics and Statistics, 86(3):797–810, 2004. 7 Appendices A Households’ problem with disaster risk A.1 Utility maximization and first-order conditions

  56. [7] Robert J. Barro. Rare disasters and asset markets in the twentieth century. Quarterly Journal of Economics, 2006.

  57. [8] Robert J. Barro. Rare Disasters, Asset Prices, and Welfare Costs. American Economic Review, 99(1):243–64, March 2009.

  58. [9] Robert J. Barro and Tao Jin. On the size distribution of macroeconomic disasters. Econometrica, 79(5):1567–1589, 2011.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Changes in shares outstanding and country stock returns around the world. (2024). Umar, Zaghum ; Chiah, Mardy ; Long, Huaigang ; Zaremba, Adam.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001518.

    Full description at Econpapers || Download paper

  2. What drives stock returns across countries? Insights from machine learning models. (2024). Zaremba, Adam ; Cakici, Nusret.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005015.

    Full description at Econpapers || Download paper

  3. Macro-prudential policies to contain the effect of structural risks on financial downturns. (2023). Hodula, Martin ; Pfeifer, Luka ; Jank, Jan.
    In: Journal of Policy Modeling.
    RePEc:eee:jpolmo:v:45:y:2023:i:6:p:1204-1222.

    Full description at Econpapers || Download paper

  4. Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns. (2023). Cakici, Nusret ; Zaremba, Adam.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000043.

    Full description at Econpapers || Download paper

  5. Interest rate changes and the cross-section of global equity returns. (2023). Bianchi, Robert J ; Cakici, Nusret ; Long, Huaigang ; Zaremba, Adam.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027.

    Full description at Econpapers || Download paper

  6. Exchange-Rate Swings and Foreign Currency Intervention. (2022). Gelos, R. Gaston ; McGregor, Thomas ; Filardo, Andrew.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2022/158.

    Full description at Econpapers || Download paper

  7. Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns. (2022). Zhou, Wenyu ; Long, Huaigang ; Bouri, Elie ; Zaremba, Adam.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:61:y:2022:i:c:s1386418122000295.

    Full description at Econpapers || Download paper

  8. A unified approach for jointly estimating the business and financial cycle, and the role of financial factors. (2022). Wong, Benjamin ; Berger, Tino ; Richter, Julia.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188922000203.

    Full description at Econpapers || Download paper

  9. A unified approach for jointly estimating the business and financial cycle, and the role of financial factors. (2021). Wong, Benjamin ; Berger, Tino ; Richter, Julia.
    In: University of Göttingen Working Papers in Economics.
    RePEc:zbw:cegedp:415.

    Full description at Econpapers || Download paper

  10. A Unified Approach for Jointly Estimating the Business and Financial Cycle, and the Role of Financial Factors. (2021). Wong, Benjamin ; Berger, Tino ; Richter, Julia.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2021-4.

    Full description at Econpapers || Download paper

  11. Global factor premiums. (2021). Swinkels, Laurens ; van Vliet, Pim ; Baltussen, Guido.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:142:y:2021:i:3:p:1128-1154.

    Full description at Econpapers || Download paper

  12. A tale of tails : New evidence on the growth-return nexus. (2021). Výrost, Tomáš ; Plíhal, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310347.

    Full description at Econpapers || Download paper

  13. Stock prices and the risk-free rate: An internal rationality approach. (2021). Zhang, Tongbin.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000385.

    Full description at Econpapers || Download paper

  14. Interaction of Cyclical and Structural Systemic Risks: Insights from Around and After the Global Financial Crisis. (2021). Hodula, Martin ; Pfeifer, Lukas ; Janku, Jan.
    In: Research and Policy Notes.
    RePEc:cnb:rpnrpn:2021/03.

    Full description at Econpapers || Download paper

  15. Dynamic Programming with State-Dependent Discounting. (2020). Zhang, Junnan ; Stachurski, John.
    In: Papers.
    RePEc:arx:papers:1908.08800.

    Full description at Econpapers || Download paper

  16. Valuation Risk Revalued. (2019). Throckmorton, Nathaniel ; Richter, Alexander ; de Groot, Oliver.
    In: Research Papers.
    RePEc:liv:livedp:201904.

    Full description at Econpapers || Download paper

  17. Informality and Bank Stability. (2019). Mitra, Shalini ; Lui-Evans, Gareth.
    In: Research Papers.
    RePEc:liv:livedp:201903.

    Full description at Econpapers || Download paper

  18. Measuring financial cycle time. (2019). Raczko, Marek ; Lombardi, Marco ; Filardo, Andrew.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0776.

    Full description at Econpapers || Download paper

  19. A top-down approach to identifying bull and bear market states. (2018). Hanna, Alan J.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:55:y:2018:i:c:p:93-110.

    Full description at Econpapers || Download paper

  20. Faraway, So Close: Coupled Climate and Economic Dynamics in an Agent-based Integrated Assessment Model. (2018). Roventini, Andrea ; Napoletano, Mauro ; Dosi, Giovanni ; Lamperti, F ; Sapio, A.
    In: Ecological Economics.
    RePEc:eee:ecolec:v:150:y:2018:i:c:p:315-339.

    Full description at Econpapers || Download paper

  21. Measuring financial cycle time. (2018). Raczko, Marek ; Lombardi, Marco ; Filardo, Andrew.
    In: BIS Working Papers.
    RePEc:bis:biswps:755.

    Full description at Econpapers || Download paper

  22. Faraway, so Close: Coupled Climate and Economic Dynamics in an Agent-Based Integrated Assessment Model. (2017). Roventini, Andrea ; Napoletano, Mauro ; Lamperti, Francesco ; Dosi, Giovanni ; Sapio, Alessandro.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2017/12.

    Full description at Econpapers || Download paper

  23. Disaster risk and preference shifts in a New Keynesian model. (2017). Szczerbowicz, Urszula ; Isoré, Marlène.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:79:y:2017:i:c:p:97-125.

    Full description at Econpapers || Download paper

  24. Volatility Persistence in Palestine Exchange Bulls and Bears: An Econometric Analysis of Time Series Data. (2017). Awad, Ibrahim ; Al-Ewesat, Abdel-Rahman .
    In: Review of Economics & Finance.
    RePEc:bap:journl:170307.

    Full description at Econpapers || Download paper

  25. Does the Feds unconventional monetary policy weaken the link between the financial and the real sector?. (2016). Xu, Yimin ; de Haan, Jakob.
    In: Working Papers.
    RePEc:dnb:dnbwpp:529.

    Full description at Econpapers || Download paper

  26. Disaster Risk and Preference Shifts in a New Keynesian Model.. (2016). Szczerbowicz, Urszula ; Isoré, Marlène.
    In: Working papers.
    RePEc:bfr:banfra:614.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-12 17:41:42 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.